Brazilian Review of Finance

2003 - 2016

Current editor(s): Marcio Laurini

From Brazilian Society of Finance
Bibliographic data for series maintained by Marcio Laurini ().

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Modelling conversion options with a mean reversion motion pp. 97-124: Carlos L. Bastian-Pinto and Luiz E. T. Brandão
Board interlocking in Brazil: Director participation in multiple companies and its effect on the value of firms pp. 125-163: Rafael Liza Santos and Alexandre Di Miceli da Silveira
Cash flow at risk: different estimation methods tested in the Brazilian steel industry pp. 165-204: Fernanda Perobelli, Flávia Vital Januzzi, Leandro Josias Sathler Berbet and Danilo Soares de Medeiros
The Use of Currency Derivatives by Brazilian Companies: An Empirical Investigation pp. 205-232: José Luiz Rossi Júnior
Is there a relationship between accounting and stock market returns in Brazil? pp. 233-245: Newton Carneiro Affonso da Costa, Roberto Meurer and César Medeiros Cupertino

On the Statistical Validation of Technical Analysis pp. 3-28: Giuliano Lorenzoni, Adrian Pizzinga, Rodrigo Atherino, Cristiano Fernandes and Rosane Riera Freire
Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil pp. 29-39: Marcos Massaki Abe, Eui Jung Chang and Benjamin Tabak
Does Idiosyncratic Risk Matter in the Brazilian Capital Market? pp. 41-58: Fernando Caio Galdi and José Roberto Securato
Genetic Algorithms for Development of New Financial Products pp. 59-77: Eder Oliveira Abensur
A Polynomial Term Structure Model with Macroeconomic Variables pp. 79-92: Felipe Pinheiro, Caio Almeida and José Valentim Vicente

Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors? pp. 123-140: Daniel Chrity, Marcio Garcia and Marcelo Medeiros
The Market Reaction to Changes in the Brazilian Stock Exchange Indexes pp. 141-167: Jairo Laser Procianoy and Rodrigo S. Verdi
Application of Compound Options in the Evaluation of American Puts pp. 169-179: José Ferreira Marinho Junior and Mauro Antonio Rincon
Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation pp. 181-202: Marcos Roberto Gois de Oliveira, Charles De Montreuil Carmona and José Lamartine Távora Junior
Pricing Volatility Referenced Assets pp. 203-228: Alan De Genaro Dario

Corporate Attributes, Corporate Governance Quality, and the Value of Public Brazilian Companies pp. 3-32: Alexandre Di Miceli da Silveira, Lucas Ayres B. de C. Barros and Rubens Famá
Bookbuilding and Strategic Allocation: Evidence from the Brazilian Stock Market pp. 33-53: Richard Saito and José André C. M. Pereira
Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach pp. 55-77: Marcelo Carvalho, Marco Aurélio S. Freire, Marcelo Medeiros and Leonardo Souza
Foreign Capital Flow and the Ibovespa Performance pp. 79-95: Roberto Meurer
Internal Model Validation in Brazil: Analysis of VaR Backtesting Methodologies pp. 97-118: Alan Cosme Rodrigues da Silva, Claudio Henrique da Silveira Barbedo, Gustavo Araujo and Myrian Beatriz Eiras das Neves

A Real Option Model with Uncertain, Sequential Investment and with Time to Build pp. 141-172: Guilherme B. Martins and Marcos Eugênio da Silva
Debt Structure of Public Brazilian Companies: an Empirical Study pp. 173-193: Claudio Lucinda and Richard Saito
Non-Linear Transaction Costs Inclusion in Mean-Variance Optimization pp. 195-221: José Euclides de Melo Ferraz and Christian Zimmer
Evaluation of Foreign Exchange Risk Capital Requirement Models pp. 223-249: Claudio H. da S. Barbedo, Gustavo Araujo, João Maurício S. Moreira and Ricardo S. Maia Clemente
Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas pp. 251-265: Beatriz Vaz de Melo Mendes

Corporate Governance Index, Firm Valuation and Performance in Brazil pp. 1-18: André Luiz Carvalhal da Silva and Ricardo Pereira Câmara Leal
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation pp. 19-54: Cícero Augusto Vieira Neto and Pedro Valls Pereira
An Essay on the Foreign Exchange Rate Expectations in Brazil pp. 55-100: Wagner Gaglianone and Ana Luiza Louzada Pereira
A Multi-Period Mean-Variance Portfolio Selection Problem pp. 101-121: Oswaldo Luiz do Valle Costa and Rodrigo de Barros Nabholz
Measuring the Influence of the US Market over Observed Interdependencies in Latin America pp. 123-137: Alba Regina Moretti and Beatriz Vaz de Melo Mendes

Estimating Risk and Return Combinations for New Derivatives Funds pp. 119-136: Ney Roberto Ottoni de Brito, Alexandre Bona and Affonso Tarciro, Jr.
The Uncovered Interest Parity in the Foreign Exchange (FX) Markets pp. 137-157: Joe Yoshino and Silvio Ricardo Micheloto
Credit Derivatives Pricing in Brazil pp. 159-182: Jorge C. Kapotas, Pedro Paulo Schirmer and Marcelo M. Taddeo
Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model pp. 183-206: Luciano Martin Rostagno, Gilberto de Oliveira Kloeckner and João Luiz Becker
Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates pp. 207-223: Vinicius Brandi and Beatriz Vaz de Melo Mendes

Forward Volatility Contract Pricing in the Brazilian Market pp. 1-21: Jorge C. Kapotas, Pedro Paulo Schirmer and Sandro Magalhães Manteiga
Heston Model Calibration in the Brazilian Foreign Exchange (FX) Options Market pp. 23-46: Marcelo Nóbrega da Costa and Joe Yoshino
Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock pp. 47-73: João Gabe and Marcelo Savino Portugal
Ratio Versus Regression Analysis: Some Empirical Evidence in Brazil pp. 75-90: José Paulo de Lucca Ramos and Newton Carneiro Affonso da Costa
Determining an Efficient Frontier in a Stochastic Moment Setting pp. 91-116: Christian Zimmer and Beat Matthias Niederhauser

Abnormal Returns and Contrarian Strategies pp. 165-215: Marco Bonomo and Ivana Dall'Agnol
The Clientele Effect in the Brazilian Market: Are Investors Irrational? pp. 217-242: Jairo Laser Procianoy and Rodrigo dos Santos Verdi
Decentralized Portfolio Management pp. 243-270: Paulo Coutinho and Benjamin Tabak
The Maximum Entropy Principle and the Modern Portfolio Theory pp. 271-300: Ailton Cassetari
Portfolio Allocation Subject to Credit Risk pp. 301-339: Rogerio de Deus Oliveira and Caio Ibsen Rodrgues de Almeida

Performance Evaluation and Market Timing: the Skill Index pp. 1-17: Ney Roberto Ottoni de Brito
Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates pp. 19-43: Benjamin Tabak and Sandro Canesso de Andrade
Applications of Real Options in the Real Estate Market Focusing the City of Rio de Janeiro pp. 45-87: Priscilla Yung Medeiros
The Dynamics of the Option-Adjusted Spread of Brady Bond Securities pp. 89-112: Franklin de O. Gonçalves and Luiz Otavio Calôba
Bidding Strategies in Brazilian Treasury Auctions pp. 113-161: Anderson Caputo Silva